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Extending simulation uses of antithetic variables: partially monotone functions, random permutations, and random subsets

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Abstract

We show how to effectively use antithetic variables to evaluate the expected value of (a) functions of independent random variables, when the functions are monotonic in only some of their variables, (b) Schur functions of random permutations, and (c) monotone functions of random subsets.

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  1. Epstein Department of Industrial and Systems Engineering, University of Southern California, Los Angeles, CA, 90089-0071, USA

    Sheldon M. Ross

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  1. Sheldon M. Ross
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Correspondence to Sheldon M. Ross.

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Ross, S.M. Extending simulation uses of antithetic variables: partially monotone functions, random permutations, and random subsets. Math Meth Oper Res 62, 351–356 (2005). https://doi.org/10.1007/s00186-005-0038-0

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  • DOI: https://doi.org/10.1007/s00186-005-0038-0

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